VaR风险控制体系的建立与应用

目前VaR作为一种新的风险控制工具得到越来越广泛的应用,投资组合理论则一直沿用经典的σ2风险控制体系,虽说有人已经将VaR引入到了投资组合应用中来,但其风险控制尚未脱离对σ2的分解.将在引入股票相对价格的基础上构建了VaR风险控制体系,将投资风险VaRP分解为大盘指数风险VaRI和股票相对价格的风险VaRS之和,并给出了此风险控制体系在投资组合方面的基本应用方法.

The System of VaR Control and Its Application

Now,The VaR has been used as a new tool of risk-control in many kind of investments.The system of σ2-control,as a traditional tool of risk-control,is used in the applicaton of portfolio theory all along.Some researchers have used VaR in portfolio,but its risk-control has not slipped the leash of the σ2 discomposing.The system of VaR-control is set up based on the relative price.In the system,the risk of a investment(VaRP) can be classified to the risk of index(VaRI) and the risk of relative prices of stocks(VaRS).Furthermore,the basic application of the system in a portfolio is also introduced.